Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0285 |
| Annualized Std Dev | 0.2766 |
| Annualized Sharpe (Rf=0%) | -0.1029 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3456.0000 |
| NAs | 1.0000 |
| Minimum | -0.2129 |
| Quartile 1 | -0.0055 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0070 |
| Maximum | 0.2527 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0174 |
| Skewness | -1.0536 |
| Kurtosis | 34.7956 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0133 |
| Gain Deviation | 0.0121 |
| Loss Deviation | 0.0166 |
| Downside Deviation (MAR=210%) | 0.0174 |
| Downside Deviation (Rf=0%) | 0.0133 |
| Downside Deviation (0%) | 0.0133 |
| Maximum Drawdown | 0.7296 |
| Historical VaR (95%) | -0.0240 |
| Historical ES (95%) | -0.0445 |
| Modified VaR (95%) | -0.0212 |
| Modified ES (95%) | -0.0212 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | NA | -0.7296 | 3446 | 416 | NA |
| 2007-06-28 | 2007-07-06 | 2007-07-13 | -0.0007 | 11 | 6 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | 0 | -0.3 | -0.2 | 0.9 | -0.7 | 2.2 | 0.2 | 2.1 |
| 2008 | 2.2 | -3.1 | 3.3 | 1 | 0.2 | 0.6 | 0.9 | 0.3 | 2.5 | 5.5 | -11.6 | 3.4 | 4.2 |
| 2009 | -0.7 | -1.8 | 0.7 | 2.2 | -0.6 | 1.4 | 0.7 | -3.2 | -1.9 | -4.6 | 1.7 | -0.4 | -6.3 |
| 2010 | 1.5 | 0.8 | 0.7 | -0.2 | -1.8 | -0.9 | -0.3 | 1.8 | 0.2 | 0 | 2 | 0.8 | 4.7 |
| 2011 | 1.1 | -0.2 | 0.6 | 0 | -1.7 | 1.4 | 0 | 0.5 | -3.8 | -3 | -0.1 | 1.5 | -3.9 |
| 2012 | 2.1 | 0.1 | 1.6 | 0.7 | -3 | 1.7 | 1.6 | 0.5 | 0.7 | 1.5 | -0.4 | 1 | 8.3 |
| 2013 | 0.4 | -0.8 | 0.1 | -0.3 | -1.9 | 1 | 0.5 | 0 | 0.8 | -0.3 | 0.3 | 0.2 | 0 |
| 2014 | -0.2 | 0.3 | 1.7 | 0.3 | 0.2 | 0.3 | -1.8 | 0 | -1.1 | 0.4 | -0.7 | 3 | 2.5 |
| 2015 | -1.9 | 0.6 | 0.1 | 0.2 | 0 | 1.6 | 0 | -2.5 | -0.3 | 1.7 | 0.7 | -0.4 | -0.3 |
| 2016 | 0.9 | 2.5 | -1 | 0 | 0.3 | 0.4 | -0.3 | 0 | 1.3 | -0.6 | -1.3 | -0.4 | 1.9 |
| 2017 | 0 | 0.4 | 0.1 | -0.4 | 0.2 | 0.9 | -0.2 | 1.1 | 0.8 | 0.2 | -0.1 | -0.1 | 3 |
| 2018 | -0.9 | -1.3 | 0.8 | 0.7 | 1 | 0.7 | 0 | -0.3 | 0.4 | 2.5 | 1.5 | 1.4 | 6.5 |
| 2019 | -0.6 | 0.3 | 0 | 0.1 | -1.3 | 0.7 | -0.7 | -0.8 | -0.4 | 0.9 | 0.1 | 1.3 | -0.5 |
| 2020 | -0.6 | -2.8 | -6.6 | -2.5 | 1 | 0.5 | -0.8 | -0.9 | -0.6 | -1.8 | 0.5 | -0.7 | -14.4 |
| 2021 | 1.5 | 2.4 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-06-27 15.0 SPY 150. 1.42e-2 -0.0049 -0.0121 0.0605 0.203 0.321 0.542 GLD 63.7 0.0008 -0.0161
2 2007-06-28 15 SPY 150. -1.00e-4 -0.0105 -0.0202 0.0592 0.214 0.326 0.539 GLD 64.3 0.00930 -0.0046
3 2007-06-29 15 SPY 150. 3.00e-4 -0.0008 -0.0188 0.0594 0.206 0.320 0.513 GLD 64.3 0.0002 -0.0079
4 2007-07-02 15.0 SPY 152. 9.00e-3 0.0131 -0.0149 0.0677 0.193 0.325 0.534 GLD 65.0 0.0117 0.0092
5 2007-07-03 15.0 SPY 152. 3.60e-3 0.0273 -0.0114 0.0602 0.197 0.349 0.570 GLD 64.7 -0.0043 0.0176
6 2007-07-05 15.0 SPY 152. -1.10e-3 0.0118 -0.0085 0.0579 0.191 0.348 0.602 GLD 64.4 -0.0049 0.0118
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
